Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 4 | 4 |
| Score | 2.78 | 3.52 | 2.58 |
| Market Cap (Millions USD) | 895.79 | 903.46 | 933.25 |
| Predicted Beta | 1.94 | 1.93 | 1.89 |
| Idiosyncratic Volatility | 2.18 | 2.29 | 2.3 |
Annualized return and volatility
| IYJ | |
|---|---|
| Annualized Return | 0.0669 |
| Annualized Std Dev | 0.2080 |
| Annualized Sharpe (Rf=0%) | 0.3216 |
Row
Daily Return Statistics
| IYJ | |
|---|---|
| Observations | 4976.0000 |
| NAs | 138.0000 |
| Minimum | -0.0944 |
| Quartile 1 | -0.0053 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0065 |
| Maximum | 0.0891 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.2245 |
| Kurtosis | 5.6392 |
Downside Risk
| IYJ | |
|---|---|
| Semi Deviation | 0.0095 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0103 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.6197 |
| Historical VaR (95%) | -0.0205 |
| Historical ES (95%) | -0.0321 |
| Modified VaR (95%) | -0.0205 |
| Modified ES (95%) | -0.0357 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2012-03-15 | -0.6197 | 1135 | 364 | 771 |
| 2000-09-05 | 2002-10-09 | 2006-02-27 | -0.4955 | 1400 | 534 | 866 |
| 2018-09-24 | 2018-12-24 | 2019-04-18 | -0.2400 | 145 | 65 | 80 |
| 2015-03-03 | 2016-01-20 | 2016-04-19 | -0.1527 | 289 | 227 | 62 |
| 2006-05-10 | 2006-08-09 | 2006-12-27 | -0.1321 | 163 | 65 | 98 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYJ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | 2.3 | 0.7 | 0.0 | 3.3 | 0.0 | 0.0 | 6.5 |
| 2001 | 0.3 | -0.5 | 0.0 | 0.1 | -0.1 | 0.0 | -0.6 | 0.0 | -1.8 | 3.0 | 0.0 | 0.0 | 0.3 |
| 2002 | -0.3 | 2.2 | -0.1 | 0.7 | 0.0 | -2.4 | -2.0 | 0.0 | 4.4 | 1.7 | 0.0 | 0.0 | 4.1 |
| 2003 | 0.0 | 0.0 | 0.3 | -0.8 | 0.0 | 0.1 | -0.3 | 0.0 | 2.6 | 0.0 | 1.3 | 0.0 | 3.1 |
| 2004 | 0.0 | 1.0 | 0.3 | 0.0 | 0.0 | -1.5 | 0.0 | 0.6 | 1.3 | 0.5 | 1.8 | 0.0 | 4.0 |
| 2005 | 0.5 | 0.5 | -0.7 | 0.0 | 0.7 | 0.3 | -0.1 | -0.3 | 0.0 | -0.1 | 1.3 | 0.0 | 2.1 |
| 2006 | 0.7 | 0.8 | 0.0 | 0.2 | 1.4 | 0.0 | -0.9 | 0.6 | 0.0 | -0.6 | -0.7 | 0.0 | 1.4 |
| 2007 | 1.1 | -0.1 | 0.0 | 0.3 | 0.2 | 0.0 | 0.5 | 0.0 | 1.7 | -1.9 | 0.0 | 0.0 | 1.7 |
| 2008 | 1.8 | 0.0 | 3.2 | 1.7 | 0.0 | 0.0 | -0.6 | 0.0 | -2.2 | 0.0 | -8.4 | 0.0 | -4.8 |
| 2009 | 0.0 | 0.0 | 1.8 | 1.1 | 4.5 | 0.8 | 0.0 | -1.9 | -2.6 | 0.0 | 1.5 | 0.0 | 5.1 |
| 2010 | 1.4 | 1.2 | 0.8 | 0.0 | -2.2 | -0.7 | 0.0 | 3.7 | 0.3 | 0.0 | 2.6 | 0.0 | 7.1 |
| 2011 | 1.6 | -2.1 | 0.8 | 0.0 | -3.0 | 1.8 | -0.7 | -1.6 | 0.0 | -3.0 | -0.3 | 0.0 | -6.4 |
| 2012 | 1.4 | 0.5 | 0.0 | 0.4 | -2.9 | 0.0 | -0.8 | 0.0 | 0.2 | 1.8 | 0.0 | 0.0 | 0.4 |
| 2013 | 1.1 | -0.3 | -1.2 | -1.4 | 0.0 | 1.1 | 1.9 | 0.0 | 0.8 | 0.6 | 0.0 | 0.0 | 2.5 |
| 2014 | 0.0 | 0.0 | 0.7 | -0.2 | 0.0 | 0.7 | 0.0 | 0.0 | -1.8 | 0.0 | -1.2 | 0.0 | -1.9 |
| 2015 | 0.0 | 0.0 | -0.7 | 1.0 | 0.2 | 0.5 | 0.0 | -2.9 | -0.1 | 0.0 | 0.4 | 0.0 | -1.6 |
| 2016 | -0.2 | 2.2 | 0.6 | 0.0 | 0.1 | 0.3 | -0.2 | 0.2 | 0.0 | -0.8 | 0.4 | 0.0 | 2.5 |
| 2017 | -0.2 | 1.6 | 0.0 | -0.1 | 0.8 | 0.0 | -0.2 | 0.1 | 0.0 | -0.2 | -1.1 | 0.0 | 0.7 |
| 2018 | -0.5 | -1.8 | 0.0 | -0.2 | 1.2 | 0.0 | -0.9 | 0.0 | 0.7 | 1.6 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.3 | 0.5 | 1.9 | -1.0 | 0.0 | 0.6 | -1.5 | 0.0 | -2.1 | 1.8 | 0.0 | -0.2 | 0.1 |
Row
Rolling Performance Chart
Snail Trail Chart
